TY - UNPB

T1 - Experiments, Passive Observation and Scenario Analysis

T2 - Trygve Haavelmo and the Cointegrated Vector Autoregression

AU - Hoover , Kevin D.

AU - Juselius, Katarina

N1 - JEL Classification: C30, C31, B41, B31, C50

PY - 2012

Y1 - 2012

N2 - The paper provides a careful, analytical account of Trygve Haavelmo's unsystematic, but important, use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation that he develops in his famous monograph, The Probability Approach in Econometrics (1944). We show how, once the details of the analogy are systematically understood, the experimental analogy can be used to shed light on theory-consistent cointegrated vector autoregression (CVAR) scenario analysis. CVAR scenario analysis can be seen as a clear example of Haavelmo's 'experimental' approach; and, in turn, it can be shown to extend and develop Haavelmo's methodology and to address issues that Haavelmo regarded as unresolved.

AB - The paper provides a careful, analytical account of Trygve Haavelmo's unsystematic, but important, use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation that he develops in his famous monograph, The Probability Approach in Econometrics (1944). We show how, once the details of the analogy are systematically understood, the experimental analogy can be used to shed light on theory-consistent cointegrated vector autoregression (CVAR) scenario analysis. CVAR scenario analysis can be seen as a clear example of Haavelmo's 'experimental' approach; and, in turn, it can be shown to extend and develop Haavelmo's methodology and to address issues that Haavelmo regarded as unresolved.

KW - Faculty of Social Sciences

KW - Trygve Haavelmo

KW - experiments

KW - passive observation

KW - scenario analysis

KW - probability approach

KW - econometrics

KW - CVAR

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - Experiments, Passive Observation and Scenario Analysis

PB - Økonomisk institut, Københavns Universitet

CY - Kbh.

ER -